Monday, June 15, 2009

In the Midst of Market Meltdown, CTAs Gain 14% in Best Year Since 1990

Investors Have Redeemed $40 Billion from Oct-08 to March-09 in Spite of Robust Returns

From the Second Quarter, 2009 issue of Barclay Managed Funds Report. The full report also includes 24 hedge fund and managed futures performance ranking tables and in-depth manager profiles. Subscribe. View Roundtables from back issues.

2008 was a year not soon enough forgotten as a continued global banking crisis and deepening recession propelled the financial markets toward near lockdown. With market volatility at historical highs and liquidity close to nonexistent, there were few places for investors to hide as the equity markets lost nearly one-third of their value, investment-grade and high-yield credits both ended the year in negative territory, non-US markets followed suit, and even the once skyrocketing commodities markets plummeted. Obviously, directional investing was a painful experience, unless you were among the brave few to maintain a net-short portfolio.

Arbitrageurs fared just as poorly, as every imaginable spread relationship was confounded by global deleveraging and a flight to safety. Yet through all of the chaos and value erosion, one segment of the alternative investment universe forged ahead, redefining the concept of uncorrelated returns.

Enter Commodity Trading Advisors (CTAs), which as a group, earned a +14% return in 2008. While results varied, no matter how you sliced it and diced it – discretionary, systematic, focused, diversified, etcetera – most managers defied the investment universe and posted positive returns for the year. So with a phenomenal year behind them and some evidence of the beginning of normalcy in the world’s capital markets, is there still a case for allocating to CTAs over the next 12 to 18 months? To answer this question and review the CTA landscape in more detail, we’ve assembled a panel of distinguished and seasoned practitioners. Our panel includes: